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The Marginal Bayesian Cramér–Rao Bound for Jump Markov Systems
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
2016 (English)In: IEEE Signal Processing Letters, ISSN 1070-9908, E-ISSN 1558-2361, Vol. 23, no 5, 575-579 p.Article in journal (Refereed) Published
Abstract [en]

In this letter, numerical algorithms for computing the marginal version of the Bayesian Cramér–Rao bound (M-BCRB) for jump Markov nonlinear systems and jump Markov linear Gaussian systems are proposed. Benchmark examples for both systems illustrate that the M-BCRB is tighter than three other recently proposed BCRBs

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2016. Vol. 23, no 5, 575-579 p.
Keyword [en]
Bayesian Cramér–Rao bound (BCRB), jump Markov nonlinear systems (JMNLS), particle filter, Rao-Blackwellization, statistical signal processing
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-126649DOI: 10.1109/LSP.2016.2535256ISI: 000373132800002OAI: oai:DiVA.org:liu-126649DiVA: diva2:916070
Funder
eLLIIT - The Linköping‐Lund Initiative on IT and Mobile CommunicationsSwedish Research Council
Note

Funding agencies:  project Scalable Kalman Filters - Swedish Research Council (VR); Excellence Center ELLIIT

Available from: 2016-03-31 Created: 2016-03-31 Last updated: 2017-11-30

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Fritsche, CarstenGustafsson, Fredrik

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
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  • nn-NB
  • sv-SE
  • Other locale
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Output format
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